volatility model expressed in forward variance form. As another, we show how to extend the Bergomi Guyon expansion to all orders … in volatility of volatility. Finally, we compute exact expressions under rough volatility, obtaining in particular the …

models and therefore allows to consistently construct models including general jump structures, a stochastic volatility and … including jumps, a stochastic volatility and the leverage effect tend to be over-parameterized leading to unstable prices of …

In this paper we derive an easily computed approximation of Rogers and Shi's lower bound for a local volatility jump …-diffusion model and then use it to approximate European basket option values. If the local volatility function is time independent …

option under jump-diffusion, stochastic interest rate and local volatility. The corresponding forward Kolmogorov partial …

patterns of implied volatility can actually be reproduced as a consequence of dynamical hedging. The simulations are performed … theoretical and quantitative point of view the strong pricing biases of the Black-Scholes formula, although stochastic volatility …